Hedge Funds Start Year With 1.41% Gain

Jan 28 2013 | 1:38pm ET

Hedge funds started 2013 by adding 1.41%, according to the latest Hedge Fund Monitor from Bank of America Merrill Lynch, although they still trailed the S&P 500 which had gained 4.81% as of January 23.

Event driven and long/short equity funds performed best over the monitored period, adding 2.80% and 1.80%, respectively. Market neutral funds turned in the worst performance, slipping 0.43%.

BofAML Mary Ann Bartels said their models indicate market neutral funds sold market exposure to 4% from 2% net short while equity long/short funds sold market exposure to 22% from 27% net long, well below the 35-40% benchmark. Macros bought the NASDAQ 100, commodities and 10-year Treasuries; remained flat the S&P 500; and aggressively added to their shorts in U.S. dollar futures. In addition, they sold emerging market exposures to a net short while maintaining their shorts in EAFE.

An examination of Commodity Futures Trading Commission data shows large speculators bought the NASDAQ 100 and Russell 2000 futures, and sold the S&P 500.

Agriculture speculators bought soybean, added to their shorts in wheat, and were essentially flat corn while metals specs bought gold, silver, platinum and palladium while selling copper. Gold, said Bartels, is nearing a buy signal.

Large energy speculators bought crude and gasoline, sold heating oil and maintained their shorts in natural gas.

Forex specs partially covered yen, bought the U.S. dollar and the euro and interest rate specs partially covered their shorts in 30-year Treasuries, bought 10-years and sold 2-years.


In Depth

An Interview With Harvest Volatility Management's Rick Selvala

Mar 23 2017 | 5:39pm ET

Several years of extremely low interest rates have pushed some investors into equities...

Lifestyle

'Tis the Season: Wall Street Holiday Parties Back In Fashion

Dec 22 2016 | 9:23pm ET

Spending on Wall Street holiday parties has largely returned to pre-2008 levels...

Guest Contributor

SEI: Private Debt Coming Into Its Own

Mar 8 2017 | 9:24pm ET

The explosive growth of private debt over the past few years has caused the lines...